## Research classified by
*Journal of
Economic Literature* (JEL) codes

Top JEL

/ G: Financial Economics

/ / G1: General Financial Markets

/ / /

**G13: Contingent Pricing; Futures Pricing**

Most recent items first, undated at the end.

**When the U.S. Stock Market Becomes Extreme?**

*by*Aboura, Sofiane

**Les 100 mots des marchés dérivés**

*by*Simon, Yves

**Performance-Sensitive Government Bonds**

*by*Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

**The impact of long-only index funds on price discovery and market performance in agricultural futures markets**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**The impact of fundamental and financial traders on the term structure of oil**

*by*Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model**

*by*David Heath & Eckhard Platen

**A Consistent Framework for Modelling Basis Spreads in Tenor Swaps**

*by*Yang Chang & Erik Schlogl

**An Empirical Analysis of the Ross Recovery Theorem**

*by*Audrino, Francesco & Huitema, Robert & Ludwig, Markus

**Implied Volatility and the Risk-Free Rate of Return in Options Markets**

*by*Marcelo Bianconi & Scott MacLachlan & Marco Sammon

**Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize**

*by*Susari Geldenhuys, Frans Dreyer and Chris van Heerden

**The impact of information flow and trading activity on gold and oil futures volatility**

*by*Adam Clements & Neda Todorova

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ã˜rregaard Nielsen & Ke Xu

**Entendiendo los mercados de swaps: Un enfoque de equilibrio general**

*by*Venegas-Martínez, Francisco

**Analytic Approximation of Finite-Maturity Timer Option Prices**

*by*Li, Minqiang

**Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach**

*by*Li, Minqiang

**On the Fundamental Relation Between Equity Returns and Interest Rates**

*by*Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

**Risk, Ambiguity, and the Exercise of Employee Stock Options**

*by*Yehuda Izhakian & David Yermack

**Effects of Index-Fund Investing on Commodity Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**Real Financial Market Exchange Rates and Capital Flows**

*by*Julian S. Leppin & Stefan Reitz

**On the liquidity of CAC 40 index options Market**

*by*Alain François-Heude & Ouidad Yousfi

**On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)**

*by*Philippe Bertrand & Jean-luc Prigent

**Do futures markets help in price discovery and risk management for commodities in India?**

*by*Nidhi Aggarwal & Sargam Jain & Susan Thomas

**Credit Risk Calibration based on CDS Spreads**

*by*Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu &

**Simple and reliable way to compute option-based risk-neutral distributions**

*by*Malz, Allan M.

**Understanding mortgage spreads**

*by*Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

**A Tale of Two Option Markets: Pricing Kernels and Volatility Risk**

*by*Song, Zhaogang & Xiu, Dacheng

**QE Auctions of Treasury Bonds**

*by*Song, Zhaogang & Zhu, Haoxiang

**Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index**

*by*Gresse, Carole & Deville, Laurent & De Séverac, Béatrice

**Samuelson hypothesis and electricity derivative markets**

*by*Jaeck, Edouard & Lautier, Delphine

**Are Employee Stock Option Exercise Decisions Better Explained through the Prospect Theory?**

*by*Bahaji, Hamza

**Weakening the Gain-Loss-Ratio measure to make it stronger**

*by*Jan Voelzke

**Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis**

*by*Juan R. Hernández

**A fractionally cointegrated VAR analysis of price discovery in commodity futures markets**

*by*Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor

**The Optimal Hedging Ratio for Non-Ferrous Metals**

*by*Dinica, Mihai Cristian & Armeanu, Daniel

**Real Options and Merchant Operations of Energy and Other Commodities**

*by*Secomandi, Nicola & Seppi, Duane J.

**Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB**

*by*Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco

**Analysis of the Behavior of Volatility in Crude Oil Price**

*by*Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube

**IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi**

*by*Rifat KARAKUS & Israfil ZOR

**On the characteristics of dynamic correlations between asset pairs**

*by*Jacobs, Michael & Karagozoglu, Ahmet K.

**Bank equity risk under bailout programs of loan guarantee and/or equity capital injection**

*by*Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming

**Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market**

*by*Ambrose, Brent W. & Diop, Moussa

**Speculators, commodities and cross-market linkages**

*by*Büyükşahin, Bahattin & Robe, Michel A.

**Bubbles in food commodity markets: Four decades of evidence**

*by*Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

**Currency jumps, cojumps and the role of macro news**

*by*Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram

**The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market**

*by*Loon, Yee Cheng & Zhong, Zhaodong Ken

**Does option trading convey stock price information?**

*by*Hu, Jianfeng

**Trading in derivatives when the underlying is scarce**

*by*Banerjee, Snehal & Graveline, Jeremy J.

**Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube**

*by*Leippold, Markus & Strømberg, Jacob

**Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps**

*by*Chung, Shing Fung & Wong, Hoi Ying

**Close form pricing formulas for Coupon Cancellable CoCos**

*by*Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

**The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market**

*by*Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

**Catalysts for price discovery in the European Union Emissions Trading System**

*by*Schultz, Emma & Swieringa, John

**The determinants of CDS spreads**

*by*Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

**Are there common factors in individual commodity futures returns?**

*by*Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

**The importance of the volatility risk premium for volatility forecasting**

*by*Prokopczuk, Marcel & Wese Simen, Chardin

**Is recovery risk priced?**

*by*Schläfer, Timo & Uhrig-Homburg, Marliese

**The market microstructure of the European climate exchange**

*by*Mizrach, Bruce & Otsubo, Yoichi

**Volatility spreads and earnings announcement returns**

*by*Atilgan, Yigit

**Unbiasedness and risk premiums in the Indian currency futures market**

*by*Kumar, Satish & Trück, Stefan

**A risk-based premium: What does it mean for DB plan sponsors?**

*by*Chen, An & Uzelac, Filip

**Global contagion of market sentiment during the US subprime crisis**

*by*Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting

**Option pricing with stochastic liquidity risk: Theory and evidence**

*by*Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei

**Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model**

*by*Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi

**The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default**

*by*Spencer, Peter

**On the investment–uncertainty relationship: A game theoretic real option approach**

*by*Lukas, Elmar & Welling, Andreas

**Option pricing under stochastic volatility and tempered stable Lévy jumps**

*by*Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

**Trend following, risk parity and momentum in commodity futures**

*by*Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

**Bidirectional causality in oil and gas markets**

*by*Halova Wolfe, Marketa & Rosenman, Robert

**Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities**

*by*Maxwell, Christian & Davison, Matt

**Variance trading and market price of variance risk**

*by*Bondarenko, Oleg

**Reporting bias in incomplete information model**

*by*Peat, Maurice & Svec, Jiri & Wang, Jue

**Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options**

*by*Liu, Qiang & Guo, Shuxin

**Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain**

*by*Dong, Yinghui & Wang, Guojing

**Regime-dependent adjustment in energy spot and futures markets**

*by*Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert

**Pricing foreign equity options with regime-switching**

*by*Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming

**Calendar anomalies in cash and stock index futures: International evidence**

*by*Floros, Christos & Salvador, Enrique

**Extreme value statistics and recurrence intervals of NYMEX energy futures volatility**

*by*Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing

**Volatility transmission in agricultural futures markets**

*by*Beckmann, Joscha & Czudaj, Robert

**Analyses of retirement benefits with options**

*by*Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan

**Quadratic hedging schemes for non-Gaussian GARCH models**

*by*Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo

**Cross-hedging minimum return guarantees: Basis and liquidity risks**

*by*Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus

**Valuation of stock loans with jump risk**

*by*Cai, Ning & Sun, Lihua

**The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables**

*by*Kim, Dong H. & Stock, Duane

**Determinants of corporate call policy for convertible bonds**

*by*King, Tao-Hsien Dolly & Mauer, David C.

**Estrategia de cobertura con productos derivados para el mercado energético colombiano**

*by*Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González

**Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011**

*by*Julio C. Alonso & Andrés M. Arcila

**The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling**

*by*Ryan Kellogg

**Forward-looking measures of higher-order dependencies with an application to portfolio selection**

*by*Brinkmann, Felix & Kempf, Alexander & Korn, Olaf

**Liability Investment with Downside Risk**

*by*Andrew Ang & Bingxu Chen & Suresh Sundaresan

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**Option Pricing with a Dynamic Fat-Tailed Model**

*by*Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas F.

**Le rôle du marché à terme et du marché au comptant dans la formation des prix des matières premières**

*by*Lautier, Delphine & Lambinet, Rémy

**Energy Finance: The case for derivative markets**

*by*Lautier, Delphine

**The reactive volatility model**

*by*Valeyre, Sébastien & Grebenkov, Denis & Aboura, Sofiane & Liu, Qian

**Systemic Risk and Complex Systems: A Graph-Theory Analysis**

*by*Lautier, Delphine & Raynaud, Franck

**The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data**

*by*Bicchetti, David & Maystre, Nicolas Maystre

**A Stochastic Model for Natural Gas Consumption: An Application for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals**

*by*Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar

**Coherent Price Systems and Uncertainty-Neutral Valuation**

*by*Beißner, Patrick

**Sovereign Asset Values and Implications for the Credit Market**

*by*Posch, Peter N & Kalteier, Eva-Maria

**Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect**

*by*Adams, Zeno & Glück, Thorsten

**Option-implied information and predictability of extreme returns**

*by*Vilkovz, Grigory & Xiaox, Yan

**Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?**

*by*Grove, Nico & Agic, Damir & Sedlmeir, Joachim

**Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference**

*by*da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina

**Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten**

*by*Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg

**Granularity of corporate debt**

*by*Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef

**Which beta is best? On the information content of option-implied betas**

*by*Baule, Rainer & Korn, Olaf & Saßning, Sven

**The behavior of the hazard rate in the Gaussian structural default model under asymmetric information**

*by*Peter Spencer

**Revisiting the relationship between spot and futures prices in the Nord Pool electricity market**

*by*Rafal Weron & Michal Zator

**Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis**

*by*Michal Zator

**Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees**

*by*Kevin Fergusson & Eckhard Platen

**The Return-Volatility Relation in Commodity Futures Markets**

*by*Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To

**The Trade-off Theory Revisited: On the Effect of Operating Leverage**

*by*Kristoffer Glover & Gerhard Hambusch

**Electricity Spot and Derivatives Pricing when Markets are Interconnected**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Electricity Derivatives Pricing with Forward-Looking Information**

*by*Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

**Variance Risk Premiums in Foreign Exchange Markets**

*by*Ammann, Manuel & Buesser, Ralf

**Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data**

*by*Audrino, Francesco & Fengler, Matthias

**On the closed-form approximation of short-time random strike options**

*by*Elisa Alòs & Jorge A. León

**Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study**

*by*Alberto Fernández Muñoz de Morales

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri**

*by*Doruk Kucuksarac & Ozgur Ozel

**Systemic Risk Contribution of Individual Banks**

*by*Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles

**Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum**

*by*Sophie van Huellen

**The structure of competitive equilibrium with unsecured debt**

*by*Gaetano Bloise

**Default dependence structure effects on the valuation of government guarantees**

*by*Carlo Domenico Mottura & Luca Passalacqua

**Did Long-Short Investors Destabilize Commodity Markets?**

*by*Joëlle Miffre & Chris Brooks

**Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets**

*by*Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A.M. Robert Taylor

**Price Drivers and Investment Strategies of Gold**

*by*Arayssi, Mahmoud

**Discounting Cashflows from Illiquid Assets on Bank Balance Sheets**

*by*Nauta, Bert-Jan

**An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies**

*by*Arizmendi, Luis-Felipe

**Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis**

*by*So, Leh-chyan

**Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches**

*by*Lee, Y. & So, Leh-chyan

**The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis**

*by*Nath, Golaka

**Mental Accounting: A Closed-Form Alternative to the Black Scholes Model**

*by*Siddiqi, Hammad

**Interest rate modeling under multiple discounting curves**

*by*García Muñoz, Luis Manuel

**International Linkages of Agri-Processed and Energy commodities traded in India**

*by*Sinha, Pankaj & Mathur, Kritika

**Specifying An Efficient Renewable Energy Feed-in Tariff**

*by*Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán

**Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets**

*by*Fulli-Lemaire, Nicolas & Palidda, Ernesto

**Analogy Making, Option Prices, and Implied Volatility**

*by*Siddiqi, Hammad

**On the liquidity of CAC 40 index options Market**

*by*François-Heude, Alain & Yousfi, Ouidad

**A Generalization of Gray and Whaley's Option**

*by*François-Heude, Alain & Yousfi, Ouidad

**Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds**

*by*Xiao, Tim

**Funding Cost and a New Capital Model**

*by*Hannah, Lincoln

**Rwanda’s involvement in Eastern DRC: A criminal real options approach**

*by*Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip

**Mean-Reverting Logarithmic Modeling of VIX**

*by*Bao, Qunfang

**On option pricing in illiquid markets with random jumps**

*by*El-khatib, Youssef & Hatemi-J, Abdulnasser

**A Note on Discounting and Funding Value Adjustments for Derivatives**

*by*Han, Meng & He, Yeqi & Zhang, Hu

**CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions**

*by*García Muñoz, Luis Manuel

**On multi-particle Brownian survivals and the spherical Laplacian**

*by*B S, Balakrishna

**Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index**

*by*Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Model-free Implied Volatility Index of Japanese Stock Market**

*by*Nattapol TAKKABUTR

**A tractable framework for zero lower bound Gaussian term structure models**

*by*Leo Krippner

**Option Prices in a Model with Stochastic Disaster Risk**

*by*Sang Byung Seo & Jessica A. Wachter

**The Joint Cross Section of Stocks and Options**

*by*Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

**Tail Risk and Asset Prices**

*by*Bryan Kelly & Hao Jiang

**Deflation Risk**

*by*Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig

**Commodity and Asset Pricing Models: An Integration**

*by*Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

**Wall Street vs. Main Street: An Evaluation of Probabilities**

*by*Robin L. Lumsdaine & Rogier J.D. Potter van Loon

**Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files**

*by*Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

**Risk Premia in Crude Oil Futures Prices**

*by*James D. Hamilton & Jing Cynthia Wu

**The Simple Economics of Commodity Price Speculation**

*by*Christopher R. Knittel & Robert S. Pindyck

**A model for dependent defaults and pricing contingent claims with counterparty risk**

*by*Dariusz Gatarek & Juliusz Jabłecki

**Volatility co-movements: a time scale decomposition analysis**

*by*Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli

**Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis**

*by*Chiara Pederzoli & Costanza Torricelli

**A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises**

*by*Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

**Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses**

*by*John T. Cuddington & Arturo L. Va'squez Cordano

**Futures price volatility in commodities markets: The role of short term vs long term speculation**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period**

*by*Georges Dionne & Olfa Maalaoui Chun

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics:An Overview**

*by*Chia-Lin Chang & David E Allen & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**Adjusted Money's Worth Ratios in Life Annuities**

*by*Jaime Casassus & Eduardo Walker

**Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain**

*by*Monica Giulietti & Luigi Grossi

**State Price Densities implied from weather derivatives**

*by*Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

**Reference Dependent Preferences and the EPK Puzzle**

*by*Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer &

**Comparative statics for real options on oil: What stylized facts to use?**

*by*Lund, Diderik & Nymoen, Ragnar

**No Good Deals - No Bad Models**

*by*Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

**Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market**

*by*Gianluca Stefani & Marco Tiberti

**Arbitrage-free models of stocks and bonds**

*by*Durham, J. Benson

**Monetary policy surprises, positions of traders, and changes in commodity futures prices**

*by*Gospodinov, Nikolay & Jamali, Ibrahim

**Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation**

*by*Matteo Manera & Marcella Nicolini

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chang, C-L. & Allen, D.E. & McAleer, M.J.

**Faster solutions for Black zero lower bound term structure models**

*by*Leo Krippner

**A tractable framework for zero-lower-bound Gaussian term structure models**

*by*Leo Krippner

**Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors**

*by*Serkan Arslanalp & Yin Liao

**Comovement of Corporate Bonds and Equities**

*by*Bao, Jack & Hou, Kewei

**What's Beneath the Surface? Option Pricing with Multifrequency Latent States**

*by*Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

**What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds**

*by*Dirk Broeders & Paul Hilbers & David Rijsbergen

**Volatility Smirk as an Externality of Agency Conict and Growing Debt**

*by*Marcin Jaskowski & Michael McAleer

**A Fractionally Integrated Wishart Stochastic Volatility Model**

*by*Manabu Asai & Michael McAleer

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Estimating Implied Recovery Rates from the Term Structure of CDS Spreads**

*by*Marcin Jaskowski & Michael McAleer

**Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing**

*by*Manabu Asai & Michael McAleer

**A simple equilibrium model for a commodity market with spot trades and futures contracts**

*by*Ekeland, Ivar & Lautier, Delphine & Villeneuve, Bertrand

**On the inefficiency of Brownian motions and heavier tailed price processes**

*by*Alejandro Balbás & Beatriz Balbás & Raquel Balbás

**Carry**

*by*Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.

**Volatility Risk Premia and Exchange Rate Predictability**

*by*Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

**Dependence Calibration and Portfolio Fit with FactorBased Time Changes**

*by*Elisa Luciano & Marina Marena & Patrizia Semeraro

**Recent Developments in Financial Economics and Econometrics: An Overview**

*by*Chia-Lin Chang & David Allen & Michael McAleer

**Subprime borrowers, securitization and the transmission of business cycles**

*by*Anna Grodecka

**On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms**

*by*Evangelos C. Charalambakis

**Coherent price systems and uncertainty-neutral valuation**

*by*Patrick Beißner

**The Determinants Of Cds Spreads**

*by*Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

**CoMargin**

*by*Selma Chaker & Nour Meddahi

**The Financialization of Food?**

*by*Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

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**What Makes the VIX Tick?**

*by*Warren Bailey & Lin Zheng & Yinggang Zhou

**Relaxing Competition through Speculation: Committing to a Negative Supply Slope**

*by*Holmberg, Pär & Willems, Bert

**A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries**

*by*Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander

**The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery**

*by*Helder Sebastião

**Microstructure effect on firm’s volatility risk**

*by*Flavia Barsotti & Simona Sanfelici

**Optimal Capital Structure with Endogenous Default and Volatility Risk**

*by*Flavia Barsotti

**Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach**

*by*Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia**

*by*Andrea Vedolin

**Measuring the stance of monetary policy in zero lower bound environments**

*by*Leo Krippner

**Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)**

*by*Leo Krippner

**Convertible Bonds and Bank Risk-Taking**

*by*Natalya Martynova & Enrico Perotti

**Relaxing Competition through Speculation: Committing to a Negative Supply Slope**

*by*Holmberg, P. & Willems, Bert

**Relaxing Competition through Speculation: Committing to a Negative Supply Slope**

*by*Holmberg, P. & Willems, Bert

**Cumulative Prospect Theory, employee exercise behaviour and stock options cost assessment**

*by*Bahaji, Hamza

**Managing Commodity Risk : Can Sovereign Funds Help ?**

*by*Brière, Marie

**Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs**

*by*Lépinette-Denis, Emmanuel & Kabanov, Yuri

**An Introduction to Particle Methods with Financial Applications**

*by*Carmona, René & Del Moral, Pierre & Hu, Peng & Oudjane, Nadia

**The Market Microstructure of the European Climate Exchange**

*by*Yoichi Otsubo & Bruce Mizrach

**Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market**

*by*Yoichi Otsubo

**Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency**

*by*Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff

**Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees**

*by*Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

**The asymmetric commodity inventory effect on the optimal hedge ratio**

*by*CARPANTIER, Jean-François & SAMKHARADZE, Besik

**Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results**

*by*Javier Orlando Pantoja Robayo & Andrea Roncoroni

**Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints**

*by*Carlos León

**Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation**

*by*A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander

**Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic**

*by*Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek

**Risk Management and Financial Derivatives: An Overview**

*by*Shawkat Hammoudeh & Michael McAleer

**Sovereign default and macroeconomic tipping points**

*by*Joy, Mark

**Relaxing competition through speculation: Committing to a negative supply slope**

*by*Holmberg, P. & Willems, B.

**Bank stability and market discipline: The effect of contingent capital on risk taking and default probability**

*by*Jens Hilscher & Alon Raviv

**Inflation Derivatives Under Inflation Target Regimes**

*by*Mordecai Avriel & Jens Hilscher & Alon Raviv

**Ambiguity Aversion and Variance Premium**

*by*Jianjun Miao & Bin Wei & Hao Zhou

**Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis**

*by*Evren Arik & Elif Mutlu

**Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions**

*by*de Vincent-Humphreys, Rupert & Noss, Joseph

**Using Merton model: an empirical assessment of alternatives**

*by*Zvika Afik & Ohad Arad & Koresh Galil

**Asset Pricing with Second-Order Esscher Transforms**

*by*Monfort, A. & Pegoraro, F.

**Macro-Prudential Policy and the Conduct of Monetary Policy**

*by*Beau, D. & Clerc, L. & Mojon, B.

**Price as a choice under nonstochastic randomness in finance**

*by*Y, Ivanenko. & B, Munier.

**The role of financial investments in agricultural commodity derivatives markets**

*by*Alessandro Borin & Virginia Di Nino

**Valuation of vix derivatives**

*by*Javier Mencía & Enrique Sentana

**Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy**

*by*Jean-Sébastien Fontaine

**The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation**

*by*Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi

**Risk Premium, Variance Premium and the Maturity Structure of Uncertainty**

*by*Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

**Pricing European Options on Deferred Insurance**

*by*Jonathan Ziveyi & Craig Blackburn & Michael Sherris

**Stock Return and Cash Flow Predictability: The Role of Volatility Risk**

*by*Tim Bollerslev & Lai Xu & Hao Zhou

**GARCH Option Valuation: Theory and Evidence**

*by*Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

**Commodity derivatives pricing with inventory effects**

*by*Christian Bach & Matt P. Dziubinski

**A contribution in stochastic control applied to finance and insurance**

*by*Moreau, Ludovic

**Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets**

*by*P. Srinivasan & P. Ibrahim

**Breaking Through Risk Management, a Derivative for the Leasing Industry**

*by*Prado, Sylvain Michael & Ananth, Ram

**Volatility Regimes For The Vix Index**

*by*JACINTO MARABEL ROMO

**Do financial investors affect the price of wheat?**

*by*Daniele Girardi

**Testing for Sibex Market’s Long-Term Memory**

*by*Pochea Maria-Miruna

**Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales**

*by*Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco

**Extracting Deflation Probability Forecasts from Treasury Yields**

*by*Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch

**Does It Matter Who Trades Energy Derivatives?**

*by*Bahattin Büyüksahin & Michel A. Robe

**Speculation, Returns, Volume and Volatility in Commodities Futures Markets**

*by*Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati

**Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model**

*by*Gianna Figa-Talamanca & Maria Letizia Guerra

**Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?**

*by*Bala Batavia & Nandakumar Parameswar & Cheick Wagué

**Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México**

*by*Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez

**Real option valuation of abandoned farmland**

*by*Nishihara, Michi

**Debt reorganization strategies with complete verification under information asymmetry**

*by*Shibata, Takashi & Tian, Yuan

**Call-pricing equity returns and default risks of entry mode with brand perception in retail banking**

*by*Tsai, Jeng-Yan & Chang, Chuen-Ping

**Empirical estimation of the option premium for residential redevelopment**

*by*Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.

**Efficient growth boundaries in the presence of population externalities and stochastic rents**

*by*Jou, Jyh-Bang

**The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study**

*by*Siddiqi, Hammad

**Pinning in the S&P 500 futures**

*by*Golez, Benjamin & Jackwerth, Jens Carsten

**Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options**

*by*Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat

**The option to stock volume ratio and future returns**

*by*Johnson, Travis L. & So, Eric C.

**Limited arbitrage between equity and credit markets**

*by*Kapadia, Nikunj & Pu, Xiaoling

**What does futures market interest tell us about the macroeconomy and asset prices?**

*by*Hong, Harrison & Yogo, Motohiro

**U.S. stock market crash risk, 1926–2010**

*by*Bates, David S.

**Pricing of commercial real estate securities during the 2007–2009 financial crisis**

*by*Driessen, Joost & Van Hemert, Otto

**Arbitrage crashes and the speed of capital**

*by*Mitchell, Mark & Pulvino, Todd

**Time series momentum**

*by*Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

**Endogenous liquidity in credit derivatives**

*by*Qiu, Jiaping & Yu, Fan

**Counterparty credit risk and the credit default swap market**

*by*Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

**CAPM for estimating the cost of equity capital: Interpreting the empirical evidence**

*by*Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

**Rational asset pricing bubbles and portfolio constraints**

*by*Hugonnier, Julien

**Conservative traders, natural selection and market efficiency**

*by*Luo, Guo Ying

**Anchoring bias in the TARP warrant negotiations**

*by*Wilson, Linus

**Derivatives traders’ reaction to mispricing in the underlying equity**

*by*Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi

**Real options and earnings-based bonus compensation**

*by*Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta

**Volatility spillovers and the effect of news announcements**

*by*Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George

**Asset pricing with Second-Order Esscher Transforms**

*by*Monfort, Alain & Pegoraro, Fulvio

**Endogenizing exogenous default barrier models: The MM algorithm**

*by*Forte, Santiago & Lovreta, Lidija

**Keep on smiling? The pricing of Quanto options when all covariances are stochastic**

*by*Branger, Nicole & Muck, Matthias

**The term structure of illiquidity premia**

*by*Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

**When are path-dependent payoffs suboptimal?**

*by*Kassberger, Stefan & Liebmann, Thomas

**Exploring the role of the realized return distribution in the formation of the implied volatility smile**

*by*Chalamandaris, Georgios & Rompolis, Leonidas S.

**Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis**

*by*Rittler, Daniel

**A comparative study of the probability of default for global financial firms**

*by*Câmara, António & Popova, Ivilina & Simkins, Betty

**Option-implied volatility factors and the cross-section of market risk premia**

*by*Li, Junye

**Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models**

*by*Beliaeva, Natalia & Nawalkha, Sanjay

**Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions**

*by*Kaeck, Andreas & Alexander, Carol

**Corporate taxes, strategic default, and the cost of debt**

*by*Nejadmalayeri, Ali & Singh, Manohar

**30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements**

*by*Smales, Lee A.

**The options market response to accounting earnings announcements**

*by*Truong, Cameron & Corrado, Charles & Chen, Yangyang

**Valuing equity-linked death benefits and other contingent options: A discounted density approach**

*by*Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang

**Dynamic hedging of conditional value-at-risk**

*by*Melnikov, Alexander & Smirnov, Ivan

**An investor sentiment barometer — Greek Implied Volatility Index (GRIV)**

*by*Siriopoulos, Costas & Fassas, Athanasios

**Escaping TARP**

*by*Wilson, Linus & Wu, Yan Wendy

**Stock option contract adjustments: The case of special dividends**

*by*Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E.

**Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008**

*by*Birru, Justin & Figlewski, Stephen

**The relationship between reciprocal currency futures prices**

*by*Bick, Avi

**Barrier option pricing for exchange rates under the Levy–HJM processes**

*by*Hsu, Pao-Peng & Chen, Ying-Hsiu

**Option pricing and ARCH processes**

*by*Zumbach, Gilles

**Discrete time hedging with liquidity risk**

*by*Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping

**Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory**

*by*Jarrow, Robert & Protter, Philip

**A jump-diffusion approach to modelling vulnerable option pricing**

*by*Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin

**Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage**

*by*Lukas, Elmar & Welling, Andreas

**Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis**

*by*Tao, Juan & Green, Christopher J.

**Short-sale constraints and efficiency of the spot–futures dynamics**

*by*McMillan, David G. & Philip, Dennis

**A contingent claim analysis of sunflower management under board monitoring and capital regulation**

*by*Tsai, Jeng-Yan & Lin, Jyh-Horng

**Market efficiency and risk premia in short-term forward prices**

*by*Haugom, Erik & Ullrich, Carl J.

**Clustering in crude oil prices and the target pricing zone hypothesis**

*by*Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent

**Integration of the global carbon markets**

*by*Mizrach, Bruce

**Modeling and explaining the dynamics of European Union Allowance prices at high-frequency**

*by*Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar

**Testing the Masters Hypothesis in commodity futures markets**

*by*Irwin, Scott H. & Sanders, Dwight R.

**Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies**

*by*Sadorsky, Perry

**How much should we pay for interconnecting electricity markets? A real options approach**

*by*Cartea, Álvaro & González-Pedraz, Carlos

**How to allocate forward contracts: The case of electricity markets**

*by*de Frutos, María-Ángeles & Fabra, Natalia

**Gauging potential sovereign risk contagion in Europe**

*by*Fong, Tom Pak Wing & Wong, Alfred Y-T.

**Futures basis, inventory and commodity price volatility: An empirical analysis**

*by*Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese

**The impact of convertible debt financing on investment timing**

*by*Yagi, Kyoko & Takashima, Ryuta

**Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest**

*by*Bao, Qunfang & Chen, Si & Li, Shenghong

**Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’**

*by*Lin, Yueh-Neng & Chang, Chien-Hung

**A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’**

*by*Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E.

**Fair demographic risk sharing in defined contribution pension systems**

*by*Gabay, Daniel & Grasselli, Martino

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Hackbarth, Dirk & Miao, Jianjun

**Good timing: The economics of optimal stopping**

*by*Davis, Graham A. & Cairns, Robert D.

**Evaluating callable and putable bonds: An eigenfunction expansion approach**

*by*Lim, Dongjae & Li, Lingfei & Linetsky, Vadim

**Valuation of power options under Heston's stochastic volatility model**

*by*Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk

**Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle**

*by*Barinov, Alexander

**How should firms selectively hedge? Resolving the selective hedging puzzle**

*by*Wojakowski, Rafał M.

**Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis**

*by*Saban Celik

**A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions**

*by*Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

**Commodity Investing**

*by*K. Geert Rouwenhorst & Ke Tang

**Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor**

*by*Mircea Gabriel Ciolpan & Jenica Popescu

**Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options**

*by*Richard Ebil Ottoo

**Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data**

*by*Yacine A�t-Sahalia & Jean Jacod

**Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes**

*by*Ana Fostel & John Geanakoplos

**Portfolio optimization using forward-looking information**

*by*Kempf, Alexander & Korn, Olaf & Saßning, Sven

**Time-Consistent and Market-Consistent Evaluations (replaced by CentER DP 2012-086)**

*by*Pelsser, A. & Stadje, M.A.

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Inflation et désinflation**

*by*Bezbakh, Pierre

**A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration**

*by*Huault, Isabelle & Rainelli, Hélène

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**Options introduction and volatility in the EU ETS**

*by*Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît

**A Finite-Dimensional Approximation for Pricing Moving Average Options**

*by*Bernhart, Marie & Tankov, Peter & Warin, Xavier

**The Relation Between Oil and Gas Returns: a Factor Analysis**

*by*Sévi, Benoît & Le Pen, Yannick & Chevallier, Julien & Bunn, Derek

**Incentives from stock option grants: a behavioral approach**

*by*Bahaji, Hamza

**The dynamics of mergers and acquisitions in oligopolistic industries**

*by*Jianjun Miao & Dirk Hackbarth

**Sentimental Preferences and the Organizational Regime of Betting Markets**

*by*Egon Franck & Erwin Verbeek & Stephan Nüesch

**The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening**

*by*Chiara Coluzzi

**A General Structural Approach For Credit Modeling Under Stochastic Volatility**

*by*Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi

**A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading**

*by*Fragniere, Emmanuel & Markov, Iliya

**Interest Rates After the Credit Crunch: Markets and Models Evolution**

*by*Bianchetti, Marco & Carlicchi, Mattia

**Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel**

*by*Sebastian Lobe & Klaus Röder

**Pricing of temperature-based weather options for Turkey**

*by*Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ

**Efficiency and hedging effectiveness in the NYMEX crude oil futures market**

*by*Tarkan ÇAVUŞOĞLU & Soner GÖKTEN

**The value of tradeability**

*by*Chesney, Marc & Kempf, Alexander

**Price discovery in spot and futures markets: A reconsideration**

*by*Theissen, Erik

**Does modeling framework matter? A comparative study of structural and reduced-form models**

*by*Gündüz, Yalin & Uhrig-Homburg, Marliese

**Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes**

*by*Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila

**Option pricing in subdiffusive Bachelier model**

*by*Marcin Magdziarz & Sebastian Orzel & Aleksander Weron

**Three-Benchmarked Risk Minimization for Jump Diffusion Markets**

*by*Ke Du & Eckhard Platen

**Do financial investors affect commodity prices? The case of Hard Red Winter Wheat**

*by*Daniele Girardi

**Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints**

*by*Fengler, Matthias & Hin, Lin-Yee

**A General Equilibrium Model of Environmental Option Values**

*by*Iain Fraser & Katsuyuki Shibayama

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**(Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720**

*by*Gary S. Shea

**A Social Network for Trade and Inventories of Stock during the South Sea Bubble**

*by*Gary S. Shea

**East India Company and Bank of England Shareholders during the South Sea Bubble: Partitions, Components and Connectivity in a Dynamic Trading Network**

*by*Andrew Mays & Gary S. Shea

**Does Stock Return Predictability Affect ESO Fair Value?**

*by*CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI

**Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options**

*by*Janis Back & Marcel Prokopczuk & Markus Rudolf

**Rationalization of Investment Preference Criteria**

*by*Jacques Pézier &

**Does Information Content of Option Prices Add Value for Asset Allocation?**

*by*Vladimir Zdorovenin & Jacques Pézier

**A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area**

*by*Martín Saldías

**Option Pricing in an Oligopolistic Setting**

*by*Villena, Marcelo & Villena, Mauricio

**A Futures Trading Experiment: An Active Classroom Approach to Learning**

*by*Mitchell, David & Hunsader, Kenneth & Parker, Scott

**On the demand pressure hypothesis in option markets: the case of a redundant option**

*by*Bennour, Khaled

**Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market**

*by*P., Srinivasan

**HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates**

*by*Lozano Rojas, Felipe Andres

**The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management**

*by*Marco, Bianchetti

**Hedging dynamics with gold futures**

*by*Singh, Saurabh & Saharawat, Swati

**International stock market comovements: what happened during the financial crisis?**

*by*Horvath, Roman & Poldauf, Petr

**Financial Management of Weather Risk with Energy Derivatives**

*by*Janda, Karel & Vylezik, Tomas

**Expansion formulae for local Lévy models**

*by*Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga

**An efficient lattice algorithm for the libor market model**

*by*Tim, Xiao

**Thinking by analogy, systematic risk, and option prices**

*by*Siddiqi, Hammad

**One numerical procedure for two risk factors modeling**

*by*Cocozza, Rosa & De Simone, Antonio

**Hedging vs. speculative pressures on commodity futures returns**

*by*Cifarelli, Giulio & Paladino, Giovanna

**A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility**

*by*Gonçalo Faria & João Correia-da-Silva

**The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices**

*by*Gonçalo Faria & João Correia-da-Silva

**Investment timing with fixed and proportional costs of external financing**

*by*Michi Nishihara & Takashi Sshibata

**Real Options Valuation of Abandoned Farmland**

*by*Michi Nishihara

**Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses**

*by*Anton Korinek

**A Transparency Standard for Derivatives**

*by*Viral V. Acharya

**Global Asset Pricing**

*by*Karen K. Lewis

**A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation**

*by*Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

**Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees**

*by*Victor Stango & Jonathan Zinman

**Continuous Workout Mortgages**

*by*Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton

**Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe**

*by*Andrew Ang & Francis A. Longstaff

**Generalized Transform Analysis of Affine Processes and Applications in Finance**

*by*Hui Chen & Scott Joslin

**Simple Variance Swaps**

*by*Ian Martin

**Limits to Arbitrage and Hedging: Evidence from Commodity Markets**

*by*Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai

**Margin-Based Asset Pricing and Deviations from the Law of One Price**

*by*Nicolae Gârleanu & Lasse Heje Pedersen

**Investors’ and Central Bank’s Uncertainty Embedded in Index Options**

*by*Alexander David & Pietro Veronesi

**What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?**

*by*Harrison Hong & Motohiro Yogo

**Corridor implied volatility and the variance risk premium in the Italian market**

*by*Silvia Muzzioli

**Beating the Random Walk in Central and Eastern Europe by Survey Forecasts**

*by*Anna Naszódi

**Testing the asset pricing model of exchange rates with survey data**

*by*Anna Naszódi

**Spot and future prices of agricultural commodities: fundamentals and speculation**

*by*Lucia BALDI & Massimo PERI & Daniela VANDONE

**A Structural Balance Sheet Model of Sovereign Credit Risk**

*by*Pascal François & Georges Hübner & Jean-Roch Sibille

**Currency Total Return Swaps: Valuation and Risk Factor Analysis**

*by*Romain Cuchet & Pascal François & Georges Hübner

**Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings**

*by*Jos van Bommel

**Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings**

*by*Jos van Bommel

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps**

*by*Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori

**Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX**

*by*Isao Ishida & Michael McAleer & Kosuke Oya

**Testing option pricing models: complete and incomplete markets**

*by*Olesia Verchenko

**The Puzzle of Index Option Returns**

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**Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options**

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**Incompleteness of markets driven by a mixed diffusion**

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**A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary**

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**Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser**

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**Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information**

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**Pricing Foreign Currency and Cross-Currency Options Under GARCH**

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**Empirical Tests of an Option Price Inversion Approach**

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**Empirical Tests of an Option Price Inversion Approach**

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**Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40**

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**Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40**

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**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

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**The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach**

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**Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar**

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**Prevision des prix a terme du cacao et modeles ARMA non-lineaires**

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**Alternative solutions of the black-sholes equation**

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**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

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**Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data**

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**Autobiography**

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**Finite Element Modelling of Exotic Options**

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**A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation**

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**Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models**

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**Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election**

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**Extracting Expectations about 1992 UK Monetary Policy from Option Prices**

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**What Data Should Be Used to Price Options?**

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**Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening**

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**Building a Consistent Pricing Model from Observed Option Prices**

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**Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets**

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**Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options**

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**Estimating Gram-Charlier Expansions with Positivity Constraints**

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**Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election**

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**Lévy processes in finance: a remedy to the non-stationarity of continuous martingales**

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**Option pricing with transaction costs and a nonlinear Black-Scholes equation**

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**Path dependent options on yields in the affine term structure model**

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**Robust hedging of the lookback option**

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**Functional convergence of Snell envelopes: Applications to American options approximations**

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**Implied interest rate pricing models**

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**Local martingales and the fundamental asset pricing theorems in the discrete-time case**

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**Hedging American contingent claims with constrained portfolios**

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**Volatility of the short rate in the rational lognormal model**

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**Perfect option hedging for a large trader**

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**Looking for Spot in the Presence of Futures**

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**Swap Credit Risk: An Empirical Investigation on Transaction Data**

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**The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options**

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**Bayesian Arbitrage Threshold Analysis**

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**Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets**

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**Market Expectations in the UK Before and After the ERM Crisis**

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**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

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**Option Pricing with a General Market Point Process**

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**Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case**

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**Convergence of Discrete Time Options Pricing Models under Stochastic Rates**

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**An Equilibrium Model with Restricted Stock Market Participation**

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**The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings**

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**How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement**

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**Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex**

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**Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification**

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**Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market**

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**Bayesian Option Pricing Using Asymmetric GARCH**

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**A Decision Theoretic Approach to Bid-Ask Spreads**

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**Incomplete markets, transaction costs and liquidity effects**

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**Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds**

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**A variational approach for pricing options and corporate bonds**

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**Empirical Performance of Alternative Option Pricing Models**

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**PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios**

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**Empirical Performance of Alternative Option Pricing Models**

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**No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio**

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**Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"**

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**Discount-Bond Derivatives on a Recombining Binomial Tree**

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**On the relevance of modeling volatility for pricing purposes**

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**Derivatives in a Dynamic Environment**

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**Applications of Option-Pricing Theory: Twenty-Five Years Later**

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**Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability**

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**Equilibrium Valuation of Currency Options in a Small Open Economy**

*by*Melanie Cao

**Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model**

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**Optimal Risk Management Using Options**

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**The Forecasting Ability of Correlations Implied in Foreign Exchange Options**

*by*Jose M. Campa & P. H. Kevin Chang

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**An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model**

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**New Evidence on Price and Volatility Effects of Stock Option Introductions**

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**Multiregime Term Structure Models**

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**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

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**New Techniques to Extract Market Expectations from Financial Instruments**

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**Manipulation of Metals Futures: Lessons from Sumitomo**

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**Bayesian option pricing using asymmetric GARCH**

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**Nonparametric Methods and Option Pricing**

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**Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility**

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**The Random-Time Binomial Model**

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**A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates**

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**Factor Models and the Shape of the Term Structure**

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**Models of Compelxity in Economics and Finance**

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**General trigger values of optimal investment**

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**Fast accurate binomial pricing**

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**A note on pricing interest rate derivatives when forward LIBOR rates are lognormal**

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**Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)**

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**LIBOR and swap market models and measures (*)**

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**On Leland's strategy of option pricing with transactions costs**

*by*Yuri M. Kabanov & (*), Mher M. Safarian

**Weighted norm inequalities and hedging in incomplete markets**

*by*Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer

**On the range of options prices (*)**

*by*Ernst Eberlein & Jean Jacod

**Optimal Determination of Bookmakers' Betting Odds: Theory and Tests**

*by*John Fingleton & Patrick Waldron

**Did Option Prices Predict the ERM Crises?**

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**Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements**

*by*J.B. Kim & I. Krinsky & J. Lee

**New Techniques to Extract Market expectations from Financial Instruments**

*by*Söderlind, Paul & Svensson, Lars E.O.

**Interest Rate Theory - CIME Lectures 1996**

*by*Björk, Tomas

**The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994**

*by*Kearney, C. & Sadeghi, M.

**Volatility in the Nikkei Stock Market Index; Causes and International Transmission**

*by*Kearney, C. & Kelly, B.

**Market Risk, Corporate Governance & the Regulation of Financial Firms**

*by*Casson, P.

**EU Capital Requirements and the Level Playing Field**

*by*Dale, R. & Wolfe, S.

**Approximating the Asset Pricing Kernel**

*by*Chapman, D.A.

**A Market-Based Evaluation of Discretionary-Accrual Models**

*by*Guay, W. & Kothari, S.P. & Watts, R.L.

**The Analysis of VAR, Deltas and State Prices: A New Approach**

*by*Grundy, B.D. & Wiener, Z.

**The Stability of ARCH Models Across Australian Financial Markets**

*by*Lee, J. & Brooks, R.

**The Impact of the Return Interval on The estimation of Systematic Risk in Australia**

*by*Jesev, T. & Brailsford, T.

**Forecasting the S&P500: A Disequilibrium Indicator**

*by*Davidson, S. & Meyer, S.

**Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period**

*by*Faff, R. & Brooks, R.

**A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence**

*by*Alziary, B. & Decamps, J-P. & Koehl, P-F.

**Do Noise Traders Influence Stock Prices**

*by*Kelly, M.

**Pricing American-Style Securities Using Simulation**

*by*Broadie, M. & Glasserman, P.

**Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures**

*by*Theobald, M. & Yallup, P.

**The Timing of Arbitrage: An Option Approach**

*by*Lambrecht, B.

**Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)**

*by*Ho-Mou Wu & Mordecai Kurz

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**An Alternative Valuation Model for Contingent Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**The Pricing of Foreign Currency Futures Options**

*by*Chang Mo Ahn

**Equilibrium Valuation of Foreign Exchange Claims**

*by*Gurdip S. Bakshi & Zhiwu Chen

**Randomization and the American Put**

*by*Peter Carr

**Option Valuation and the Price of Risk**

*by*John Chalupa

**Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation**

*by*J. S. Butler & Barry Schachter

**Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model**

*by*Ram Bhar & Carl Chiarella

**A two-mean reverting-factor model of the term structure of interest rates**

*by*Manuel Moreno

**Optimal regulation of a fully insured deposit banking system**

*by*Xavier Freixas & Emmanuelle Gabillon

**Markets with endogenous uncertainty: theory and policy**

*by*Chichilnisky, Graciela

**Noncommercial Trading in the Energy Futures Market**

*by*Dale, Charles & Zyren, John

**Implied Volatility Functions: Empirical Tests**

*by*Bernard Dumas & Jeff Fleming & Robert E. Whaley

**Towards a General Theory of Bond Markets**

*by*Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang

**Stock Options as Barrier Contingent Claims**

*by*Ericsson, Jan & Reneby, Joel

**Diversified Portfolios in Continuous Time**

*by*Björk, Tomas & Näslund, Bertil

**Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market**

*by*Jong, F.C.J.M. de & Donders, M.W.M.

**Numerical analysis of strategic contingent claims models**

*by*Anderson, Ronald W. & Tu, Cheng

**Default risk in asset pricing**

*by*Mella-Baral, Pierre & Tychon, Pierre

**Implied Volatility Functions: Empirical Tests**

*by*Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E

**American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Nonparametric Estimation of American Options Exercise Boundaries and Call Prices**

*by*Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès

**Arbitrage Based Pricing When Volatility Is Stochastic**

*by*Peter Bossaert & Eric Ghysels & Christian Gouriéroux

**Lognormality of Rates and Term Structure Models**

*by*Goldys, B. & M. Musiela & D. Sondermann

**The Term Structure of Defaultable Bond Prices**

*by*Schönbucher, Philipp J.

**Continuous-Time Term Structure Models**

*by*Musiela, Marek & Marek Rutkowski

**The Pricing and Hedging of Options in Finitely Elastic Markets**

*by*Frey, Rüdiger

**Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models**

*by*Leisen, Dietmar

**Derivatives Activity at Troubled Banks**

*by*Joe Peek & Eric S. Rosengren

**On a general class of one-factor models for the term structure of interest rates (*)**

*by*W.M. Schmidt

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**Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben**

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**Imperfect Information, Money and Economic Growth**

*by*Ho, W.H.

**The Determination of Stock Market Volatility and Its International Transmission**

*by*Kearney, C.

**Do Managed Futures Make Good Investments?**

*by*Edwards, F.R. & Park, J.M.

**Mutual Funds and Financial Stability**

*by*Edwards, F.R.

**Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World**

*by*Heal, G.

**Separation and Hedging Results with State-Contingent Production**

*by*Chambers, R.G. & Quiggin, J.

**Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities**

*by*Venditti, A.

**Discrete Time Option Pricing with Bid-Ask Spreads**

*by*Kast, R. & Lapied, A.

**Estimation of Continuous Time Models for Stock Returns and Interest Rates**

*by*Tauchen, George E. & Gallant, A. Ronald

**Specification Analysis of Continuous Time Models in Finance**

*by*Gallant, A. Ronald & Tauchen, George E.

**Arbitrage in securities markets with short-sales constraints**

*by*Jouini, Elyès & Kallal, Hedi

**Martingales and arbitrage in securities markets with transaction costs**

*by*Kallal, Hedi & Jouini, Elyès

**Approximation Pricing and the Variance-Optimal Martingale Measure**

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**Convergence of Option Values under Incompleteness**

*by*Runggaldier, Wolfgang J. & Martin Schweizer

**Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices**

*by*Yacine Ait-Sahalia & Andrew W. Lo

**Testing Option Pricing Models**

*by*David S. Bates

**Banks and Derivatives**

*by*Gary Gorton & Richard Rosen

**A Framework for Valuing Corporate Securities**

*by*Ericsson, Jan & Reneby, Joel

**Bond markets where prices are driven by a general marked point process**

*by*Björk, T. & Kabanov, Y. & Runggaldier, W.

**Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts**

*by*Nielsen, J. Aase & Klaus Sandmann

**The Pricing of Asian Options under Stochastic Interest Rates**

*by*Nielsen, J. A. & K. Sandmann

**Market Volatility and Feedback Effects from Dynamic Hedging**

*by*Frey, Rüdiger & Alexander Stremme

**Binomial Models for Option Valuation - Examining and Improving Convergence**

*by*Leisen, D. P. J. & M. Reimer

**A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk**

*by*Frey, Rüdiger & Daniel Sommer

**Equity-linked life insurance - a model with stochastic interest rates**

*by*Nielsen, J. Aase & Klaus Sandmann

**A Discrete Time Approach for European and American Barrier Options**

*by*K. Sandmann & Reimer, M.

**The Direct Approach to Debt Option Pricing**

*by*K. Sandmann & Sandmann, K.

**On Smile and Skewness**

*by*Platen, Eckhard & Martin Schweizer

**Closed form representations for the minimal hedging portfolios of American type contingent claims**

*by*A. N. Vishnyakov & Kramkov, D.O.

**On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales**

*by*Christopeit, Norbert

**Contingent Claims Valued And Hedged By Pricing And Investing In A Basis**

*by*Frank Milne & Dilip Madan

**Implementing Option Pricing Models When Asset Returns Are Predictable**

*by*Andrew W. Lo & Jiang Wang

**A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks**

*by*James M. Hutchinson & Andrew W. Lo & Tomaso Poggio

**Put-call parities and the value of early exercise for put options on a performance index**

*by*Roon, F.A. de & Veld, C.H.

**The Valuation of American Options on Multiple Assets**

*by*Mark Broadie & Jérôme B. Detemple

**American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods**

*by*Mark Broadie & Jérôme B. Detemple

**American Capped Call Options on Dividend Paying Assets**

*by*Mark Broadie & Jérôme B. Detemple

**Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates**

*by*Miltersen, K. & K. Sandmann & D. Sondermann

**Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets**

*by*Kramkov, D.O.

**On Short Rate Processes and Their Implications for Term Structure Movements**

*by*Schlögl, Erik & Daniel Sommer

**Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates**

*by*D. Sondermann & K. Miltersen

**On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures**

*by*D. Sondermann & Sandmann, K.

**Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options**

*by*David S. Bates

**Realignment Risk and Currency Option Pricing in Target Zones**

*by*Bernard Dumas & L. Peter Jennergren & Bertil Naslund

**Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures**

*by*Robert J. Shiller

**Optimal Hedging under Forward-Looking Behavior**

*by*Sergio H. Lence & Dermot J. Hayes

**A Term Structure Model and the Pricing of Interest Rate Derivative**

*by*K. Sandmann & Sondermann, D.

**On the use of the Black & Scholes model in a stochastic interest rate economy**

*by*Krister Rindell

**Existence and optimality of equilibria in markets with tradeable derivative securities**

*by*Henrotte,Philippe

**Unit root behavior in energy futures prices**

*by*Serletis, Apostolos

**Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market**

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**The Information Content of Prices in Derivative Security Markets**

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**On the behaviour of the Finnish stock index options markets**

*by*Vesa Puttonen

**Option Pricing With V. G. Martingale Components**

*by*Frank Milne & Dilip Madan

**Economics of Energy Futures Markets**

*by*Dale, Charles

**The Multinomial Option Pricing Model and Its Brownian and Poisson Limits**

*by*Frank Milne & Dilip Madan & Hersh Shefrin

**The Pricing Mechanism of Primary Commodities since the 1970s**

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**Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models**

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**Manipulations and repeated games in future markets**

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**Measuring patterns of price movements in the Treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**The Hedging Effectiveness of Currency Futures Markets**

*by*Dale, Charles

**Usefulness of Treasury Bill Futures as Hedging Instruments**

*by*Cicchetti, Paul & Dale, Charles & Vignola, Anthony

**The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications**

*by*Vignola, Anthony & Dale, Charles

**The arc sine law and the treasury bill futures market**

*by*Dale, Charles & Workman, Rosemarie

**Is the Futures Market for Treasury Bills Efficient?**

*by*Vignola, Anthony & Dale, Charles

**The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries**

*by*Dirk Hackbarth & Jianjun Miao

**The Stochastic Finite Element Method and Application in Option Pricing**

*by*Look, Stefan

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*by*Patrick Leoni & Stéphane Luchini

**Design the Financial Tool to Promote Universal Free Access to AIDS Care**

*by*Patrick Leoni & Stéphane Luchini

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*by*Marco Realdon

**Valuation of Put Options on Leveraged Equity**

*by*Marco Realdon

**Convertible Subordinated Debt Valuation and "Conversion in Distress"**

*by*Marco Realdon

**Valuation of Exchangeable Convertible Bonds**

*by*Marco Realdon

**Coupon Bond Valuation with a Non-Affine Discount Yield Model**

*by*Peter D Spencer

**Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates**

*by*Aaron Tornell & Chunming Yuan

**Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market**

*by*Palani-Rajan Kadapakkam & Umesh Kumar

**“Stock PIKs”- Taking a firm by its tails**

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**Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses**

*by*An-Sing Chen & Hui-Jyuan Gao & Mark Leung

**Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets**

*by*Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse

**The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures**

*by*Jullavut Kittiakaraskun & Yiuman Tse & George H.K. Wang

**Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index linked commodity futures for up to one hour but disappears when using daily data. Also, the economic significance of index to non-index commodity transmission declines to zero within about an hour. Finally, we find that the magnitude of index-to-non index returns relationships are positively related to the amount of speculation, both long and short, in the GSCI commodity index futures contract. We conclude that speculative pressures exerted by commodity index investors can impact non-index commodities. These results are likely not due to speculative pressure itself, but rather the subsequent price destabilizing trades of uninformed, positive feedback traders**

*by*Yiuman Tse & Michael Williams

**The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger-causality in either direction. An EGARCH model shows that significant volatility spillovers flow from the stock market to the carry trade market, but not vice versa. The markets are more correlated in periods of high volatility. Volatilities in both markets also increase more with negative innovations than positive innovations. A sectoral analysis of the index suggests that volatilities of cyclical stocks have more impact than non-cyclical stocks on carry trades**

*by*Yiuman Tse & Lin Zhao

**2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia**

*by*Jason West

**Credit Spread Specification and the Pricing of Spread Options**

*by*Nicolas Mougeot

**La volatilité des prix du pétrole**

*by*Chevalier, Jean-Marie

**Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets**

*by*Russo, Francesco & Oudjane, Nadia & Goutte, Stéphane

**A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives**

*by*Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG

**Collateral Smile**

*by*Markus LEIPPOLD & Lujing SU

**Detecting Informed Trading Activities in the Options Markets**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis**

*by*Marc CHESNEY & Remo CRAMERI & Loriano MANCINI

**The Value of Tradeability**

*by*Marc CHESNEY & Alexander KEMPF

**Predictive Power of Information Market Prices**

*by*Maria PUTINTSEVA

**Weak Approximation of G-Expectations**

*by*Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER

**Conditional Density Models for Asset Pricing**

*by*Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA

**Ambiguity Aversion and the Term Structure of Interest Rates**

*by*Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani

**Semi-Parametric Estimation of American Option Prices**

*by*Patrick Gagliardini & Diego Ronchetti

**Martingale Representation Theorem for the G-expectation**

*by*Halil Mete SONER & Nizar TOUZI & Jianfeng ZHANG

**Liquidity Models in Continuous and Discrete Time**

*by*Selim GOKAY & Alexandre F. ROCH & Halil Mete SONER

**A Market Model for Stochastic Implied Volatility**

*by*Schönbucher, Philpp J.

**Stock Evolution under Stochastic Volatility: A Discrete Approach**

*by*Leisen, Dietmar P.J.

**Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data**

*by*Bent Jesper Christensen & Morten Ø. Nielsen